Credit valuation adjustment of cap and floor with counterparty risk : a structural pricing model for vulnerable European options
Year of publication: |
April 2016
|
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Authors: | Kao, Lie-Jane |
Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 19.2016, 1, p. 41-64
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Subject: | Structural pricing model | Credit value adjustment (CVA) | Cap | Floor | Basel III | Vulnerable European options | Reduced-form model | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | EU-Staaten | EU countries | Optionsgeschäft | Option trading | Derivat | Derivative | Basler Akkord | Basel Accord | Europa | Europe |
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